Model wyceny aktywów oparty na długoterminowych reakcjach cenowych po IPO na przykładzie rynku polskiego

• Authors: Adam Zaremba , Adam Szyszka

Title variants

EN

Asset Pricing and the Long-Run Post-IPO Underperformance on the Polish Stock Market

• Languages of publication: PL

Abstracts

PL

W niniejszym artykule zaproponowano nowy przekrojowy model wyceny aktywów, który uwzględnia wpływ zjawiska długoterminowych ujemnych anormalnych stóp zwrotu po pierwszej emisji publicznej. Skuteczność modelu w objaśnianiu ponadprzeciętnych stóp zwrotu z portfeli podwójnie sortowanych według wieku i wielkości przedsiębiorstw zostaje skonfrontowana z tradycyjnymi modelami CAPM trójczynnikowym modelem Famy-Frencha. Badanie bazuje na notowaniach 885 spółek z polskiego rynku akcji w latach 2001-2014. Nowy model dobrze radzi sobie z objaśnieniem stóp zwrotu, podczas gdy tradycyjne modele zostają odrzucone. Dodatkowo badanie dostarcza świeżych dowodów na długoterminowe ujemne anormalne stopy następujące po IPO w Polsce. Anomalia jest szczególnie silna wśród małych spółek giełdowych.

EN

In this paper we propose a new cross-sectional asset pricing model employing a Young-minus-Old (OMY) factor, which accounts for long-run post-IPO underperformance. We test the model using stock returns from the Warsaw Stock Exchange, second most active IPO market in Europe after London, in the period from April 2001 to January 2014. We form portfolios double-sorted on size and age and attempt to explain their returns with the new model and also the traditional, well-established models such as CAPM and the Fama-French three-factor model. The CAPM and F-F models are rejected, while our model explains the returns well. Additionally, wedeliver fresh out-ofsample evidence for the long-term underperformance of initial public offerings in Poland. The anomaly is particularly strong among the small companies.

Keywords

PL

Modele wyceny akcji; Pierwsza oferta publiczna; Rynek akcji; Wycena aktywów

EN

Equity market; Initial Public Offering (IPO); Shares pricing models; Valuation of assets

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2015
• Volume: 238
• Pages: 180-192

Contributors

author

Adam Zaremba

author

Adam Szyszka

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Identifiers

ISSN

2083-8611